Examining the asymmetries between equity and commodity ETFs during COVID-19

Muhammad Abubakr Naeem, Zhe Peng, Elie Bouri, Syed Jawad Hussain Shahzad, Sitara Karim

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)


Previous studies have neither examined the volatility co-movements across stock and commodity markets in terms of both time and frequency nor differentiated between bad and good volatility and the potential asymmetric effect. To address this gap, we computed 5-min price data, the positive and negative semivariances on five leading Exchange Traded Funds (ETFs) covering the US equity market, crude oil, natural gas, gold, and silver markets from January 2, 2019 to May 29, 2020, and then draw on the wavelet coherency methodology and the time-varying wavelet coherence measure. The results show that the negative realized volatility co-movements are stronger during the COVID-19 outbreak, especially at short and medium frequencies. The US stock market leads energy and precious metals in the short-run frequency. However, over the long-run, the lead-lag pattern mostly alternates over time for all cases. Notably, the realized volatilities of US equities and precious metals are shaped by the COVID-19 outbreak, reflecting the quest of investors for protection from the market volatilities by investing in gold and silver. This latest finding is confirmed by the wavelet coherence measure. Further results show asymmetric co-movements emanating especially from realized negative semivariance of equities and energy markets around the pandemic outbreak across short-time horizons. We also notice that the COVID-19 outbreak increases the procyclical movement of all ETFs in the short-term. The effect is more pronounced among the US equity and precious metals markets, whereas no significant countercyclical connectedness is observed among these markets. Our findings support previous evidence showing that gold and silver can serve as safe-haven assets due to their low coherence with risky assets.

Original languageEnglish
Article number103048
JournalResources Policy
Publication statusPublished - Dec 2022


  • Asymmetry of volatility connectedness
  • Commodities
  • COVID-19
  • ETFs
  • Good and bad volatility
  • Realized semivariances
  • Stocks
  • Wavelet coherence

ASJC Scopus subject areas

  • Sociology and Political Science
  • Economics and Econometrics
  • Management, Monitoring, Policy and Law
  • Law


Dive into the research topics of 'Examining the asymmetries between equity and commodity ETFs during COVID-19'. Together they form a unique fingerprint.

Cite this